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Financial Market Stress Declines Slightly

3/26/2015

Please note: Data values previously published are subject to revision. For more information, refer to the vintage series in ALFRED®.

ST. LOUIS – Financial market stress declined slightly last week, according to the St. Louis Fed Financial Stress Index (STLFSI). For the week ending March 20, 2015, the STLFSI measured -1.027, down from the prior week’s revised value of -1.012. 

STLFSI Weekly Change graph

Over the past week, 11 of the 18 indicators contributed negatively to the change in the STLFSI, four more than the previous week. The largest negative contribution came from the Chicago Board Options Exchange Market Volatility Index (VIX), followed by the yield on corporate Baa-rated bonds (BAA). Five of the 18 indicators contributed positively to the weekly change, three fewer than the previous week. The largest positive contribution was made by the yield spread between the Merrill Lynch High-Yield Corporate Master II Index and the 10-year U.S. Treasury security (HighYield_CRS). 

STLFSI Yearly Change Graph

Over the past year, 10 of the 18 indicators made a positive contribution to the index, one fewer than the previous week. Eight indicators made a negative contribution, one more than the previous week.  Over the past year, the largest positive contribution was made by the 10-year nominal Treasury yield minus the 10-year Treasury Inflation Protected Security yield (BIR_10yr). The largest negative contribution was made by the BAA. The STLFSI has been below zero (representing lower-than-average levels of financial stress) for 173 consecutive weeks. (Zero represents average levels of financial stress.)  

For an explanation of the 18 component variables in the STLFSI, refer to the STLFSI Key.